While I'm not exactly crazy about a gun-wielding Yuna, I saw these official images and had a wallpaper design in my mind almost immediately :) There is actually two version of this wallpaper, but they are quite similar so I'm just submitting one :) Here's the breakdown on how this was made:

I first started with a plain blue background and pasted the pic where Yuna is holding her gun onto another layer.
This pic is then colorized to blue and its opacity is reduced.

The CG pic of Yuna is then pasted on and the original white background of that pic is deleted using the Magic Wand
tool (can't manage to take all the white out though...).

The 3D looking X is added so the two Yuna images are somewhat separated.

Those little light things are added so that it looks as if there's some kind of an aura surrounding Yuna ^^ Those
light things came from one of the official Yuna wallpaper.

The text is added... ummm... it ended up looking more like Final Fantasy X-squared instead of Final Fantasy X-2... heh.